putbt: Binary Tree Pricing of Put Options (Continuous Compound...

In czxa/FMFE: Options and Futures in Financial Mathematics and Financial Engineering

Description

The function uses a binary tree to price European options, and finally draws a binary tree and the price of return options.

Usage

putbt(S = 41, K = 40, sigma = 0.3, r = 0.2, T = 1,
  dividend = 0, l = 1/3)

Arguments

S	Current stock price, default value is 41
K	Execution price, default value is 40
sigma	Volatility of stock price, default value is 0.3
r	Risk-free interest rate, default value is 0.2
T	Option maturity, default value is 1
dividend	Compound dividend rate, default value is 0, that is, no dividend.
l	The default length of each period in a binary tree is 1/3, that is, the default duration of a binary tree is 3 periods.

References

OTS package, WangXu [e-mail]

See Also

dputbt

Examples

putbt(S = 41, K = 40, sigma = 0.3, r = 0.2, T = 1, dividend = 0, l = 1/3)
putbt(S = 50, K = 40, sigma = 0.3, r = 0.2, T = 1, dividend = 0, l = 1/3)

czxa/FMFE documentation built on Nov. 6, 2019, 4:58 a.m.